diff --git a/tests/integration/test_proxy.py b/tests/integration/test_proxy.py
index 7366d33e..5ceae38e 100644
--- a/tests/integration/test_proxy.py
+++ b/tests/integration/test_proxy.py
@@ -1,5 +1,6 @@
 """Test using a proxy."""
 
+import asyncio
 import http.server
 import socketserver
 import threading
@@ -36,10 +37,39 @@ def do_GET(self):
         self.end_headers()
         self.copyfile(upstream_response, self.wfile)
 
+    def do_CONNECT(self):
+        host, port = self.path.split(":")
+
+        asyncio.run(self._tunnel(host, port, self.connection))
+
+    async def _tunnel(self, host, port, client_sock):
+        target_r, target_w = await asyncio.open_connection(host=host, port=port)
+
+        self.send_response(http.HTTPStatus.OK)
+        self.end_headers()
+
+        source_r, source_w = await asyncio.open_connection(sock=client_sock)
+
+        async def channel(reader, writer):
+            while True:
+                data = await reader.read(1024)
+                if not data:
+                    break
+                writer.write(data)
+                await writer.drain()
+
+            writer.close()
+            await writer.wait_closed()
+
+        await asyncio.gather(
+            channel(target_r, source_w),
+            channel(source_r, target_w),
+        )
+
 
 @pytest.fixture(scope="session")
 def proxy_server():
-    httpd = socketserver.ThreadingTCPServer(("", 0), Proxy)
+    httpd = socketserver.ThreadingTCPServer(("127.0.0.3", 0), Proxy)
     proxy_process = threading.Thread(target=httpd.serve_forever)
     proxy_process.start()
     yield "http://{}:{}".format(*httpd.server_address)
@@ -59,3 +89,22 @@ def test_use_proxy(tmpdir, httpbin, proxy_server):
         assert cassette_response.headers[key] == response.headers[key]
     assert cassette_response.headers == response.headers
     assert cassette.play_count == 1
+
+
+def test_use_https_proxy(tmpdir, httpbin_secure, proxy_server):
+    """Ensure that it works with an HTTPS proxy."""
+    with vcr.use_cassette(str(tmpdir.join("proxy.yaml"))):
+        response = requests.get(httpbin_secure.url, proxies={"https": proxy_server})
+
+    with vcr.use_cassette(str(tmpdir.join("proxy.yaml")), mode="once") as cassette:
+        cassette_response = requests.get(
+            httpbin_secure.url, proxies={"https": proxy_server}
+        )
+
+    for key in set(cassette_response.headers.keys()) & set(response.headers.keys()):
+        assert cassette_response.headers[key] == response.headers[key]
+    assert cassette_response.headers == response.headers
+    assert cassette.play_count == 1
+
+    # The cassette url points to httpbin, not the proxy
+    assert cassette.requests[0].url == httpbin_secure.url + "/"